Professional Documents
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2.
3.
3hl
of Statistics,
REFAEL HASSIN
Tel Aviv University,
1.
Tel Aviv
69978
INTRODUCTION
A function / is unimodal on [a9b] if there exists a <_ x <. b such that f(x)
is strictly increasing for a <_ x < ~x and strictly decreasing for x < x <_ b. It
has been shown (Avriel and Wilde [2], Kiefer [6]) that the Fibonacci search
method guarantees the smallest final interval of uncertainty among all methods
requiring a fixed number of function evaluations. This method and its variations (Avriel and Wilde [3],Beamer and Wilde [4] , Kiefer [6], Oliver and Wilde
[7], Witzgall [10]) use the following idea:
Suppose y and z are two points in [a9b] such that y < z9 and f is unimodal,
then
f(y) < f(z)
implies y ~x_<_b9
f(y) > f(%)
implies a <_ x <_ z9 and
f(y) = / 0 0
implies
y x z .
Thus the property of unimodality makes it possible to obtain, after examining f(y) and f(z)9
a smaller new interval of uncertainty. When it cannot be
said in advance that / is unimodel, a similar idea can be used.
Suppose that f(x1)9
f(x2)9
and f(x3)
are known such that
(1)
xx
< x2
< x3
and
f(x2)
3^8
[Oct.
Bnajck&ting AlgofLvtkm:
Stzp
1.
Stup
2.
Stdp
3.
and
In this section, we propose and analyze alternatives for selecting the increment multipliers ak . Let F0 = F - 1 and Fn = Fn_2 + 4-i> n = 2, 3, ...,
denote the Fibonacci numbers. If either
(2)
X]<_1
= Xk_2
xk_1
= xk
FN _k
+ "
-(Xk
L
N-k+1
Xk_2)
or
^N
(3)
- -
-k
~(xk
"
k-i^
then xk_x is one of the two first evaluations in a Fibonacci search with N - k
+ 1 evaluations, on the interval bounded by xk_2 and xk.,
In this case, xk + l9
..., xN can be chosen as the next points in this Fibonacci search. This choice
1981]
3^9
guarantees the smallest final interval of uncertainty among all other methods
requiring N - k additional evaluations.
If both (2) and (3) do not holds the next points can be chosen according to
Witzgall's algorithm [10]. This algorithm guarantees the smallest final interval of uncertainty in a fixed number of function evaluations when, for some
reason, the first evaluation took place at some argument other than the two
optimal ones.
We now show how to choose the increment multipliers a^9 i = 3,...,/lf-l,
so that equations (2) or (3), according to our preference, will hold when the
bracketing algorithm terminates after k < N evaluations.
Equation (2) implies that
Fpj _
x
"
k-i
k-z
[ (x k
"p
"
k-i^
(xk-i
"
k-2^
or
F
N-k
+i
k-i
+ 1 = ou + 1.
x
*N-k
k-i
k-2
Denote the value of a^ which satisfies the above equation by ajj,1 , then
(4)
<*<" - % * ^ -
1 = % ^ < 1 .
N-k
FN-k
or
N-k+l
(Xk
^_
(xk-l
k-2^
+ l
l "" xk-2
kx
FN_k
J_
a
k-l
k
(2 )
, then
a(2) = - ^ - = - ^ - > 1
(5)
Olk
'
N-k-l
d2 = \x2 - x |
d
k = akdk-i
= a
and
k ' ak-i
dl1}
N-k-l
*N-k
N-k
= -=
^N-k
N->+
N-k-l\
* F2 - xi I =
r
*ff-3
+1
\x2 - x I,
N-3
k = 2, ...,/!/- 1.
If the bracketing algorithm terminates after k < N evaluations, then the
maximum is located in an interval of length
I
,(1)
1}
" ^ - 2 I = d\"fc
,M)
+ dkk~^1 i =
N-k-l+FN-k>
TT
F
N-
\xz - a j =
N-k
+ l.
la?2 - a j .
350
[Oct.
This interval is further searched by a Fibonacci search with N - k -f- 1 evaluations (including the one in xk_) which reduces its length by a factor (FN_k + 1 ) ~ 1 .
Consequently, the length of the final interval is
independent of k.
N-3
1*2 F
lI
N-Z
- x
\x2
fc=2
N-3
In fact, when N is large, this sum approaches (1 + x)\x 2 satisfies x 2 = 1 + x. The cost of obtaining a small final
success is in searching a relatively small interval and
chances that the bracketing algorithm will fail.
This default can be overcome by using ak2>> rather than
F
i(2)
k
N -3
N-k
N-k-l
+l
N-3
N-k
\X2
1 ~
J?
. In this case,
N-3
N - k - l
\X2
k = 2 , -...,'N
- 1.
The sequence dk
increases with k so that a larger interval is scanned,
and it is less likely that the bracketing algorithm will fail. In practice,
some of the last increments dk*
may be replaced by smaller increments, possibly by d(k1) .
4.
SUMMARY
B.
Let ak = a^ 2) > 1.
The chances for success are better than in case A, but the final interval is longer.
C.
1981]
351
REFERENCES
1. M. Avriel. Non-Linear
Programming: Analysis
and Methods. Englewood Cliffs,
N.J.: Prentice-Hall, Inc., 1976.
2. M. Avriel & D. J. Wilde. "Optimality Proof for the Symmetric Fibonacci
Search Technique." The Fibonacci
Quarterly
4 (1966):265-69.
3. M. Avriel & D. J. Wilde. "Golden Block Search for the Maximum of Unimodal Functions." Management Science
14 (1968):307-19.
4. J. H. Beamer & D. J. Wilde. "Minimax Optimization of Unimodal Functions
by Variable Block Search." Management Science
16 (1970):529-41.
5. M. J. Box, D. Davies, & W. H. Swann. Non-Linear
Optimization
Techniques.
Edinburgh: Oliver & Boyd, 1969.
6. J. Kiefer. "Sequential Minimax Search for a Maximum." Proc. Amer. Math.
Soc. 4 (1963):502-06.
7. L. T. Oliver & D. J. Wilde. "Symmetrical Sequential Minimax Search for a
Maximum." The Fibonacci
Quarterly
2 (1964):169-75.
8. H. H. Rosenbrock. "An Automatic Method for Finding the Greatest and Least
Value of a Function." Computer J. 3 (1960):175-84.
9. D. J. Wilde. Optimum Seeking Methods.
Englewood Cliffs, N.J.: PrenticeHall, Inc., 1964.
10. C. Witzgall. "Fibonacci Search with Arbitrary First Evaluation." The Fibonacci Quarterly
10 (1972):113-34.
?*####
DONALD J. MINTZ
and Engineering
Company,
Linden,
NJ 07036